I'm with RG on this, if you're using a list box, it's not physically possible to select something that's not in it. If you're talking about a combo box and if they type in something that's not available a default warning message appears, but you can change that if you want you just have to change the LIMIT TO LIST property.
The easiest way to do this is to trap the error after setting the 'limit to list' property then in the ON EXIT property of the combo box use something like:
Code:
if err.number = <error number here> then
<put your combo box name here> = null
docmd.gotocontrol ("<put a control name that is always visible and enabled on your form here>")
docmd.gotocontrol ("<put your combo box name here>")
endif